In a smaller boat with no motor, or a small outboard, consider whether the squall is going to set you towards a lee shore. If it really honks, you may not be able to make good anything to windward, and you won't be able to see enough in all that rain (or hail) to determine if you're staying clear of shore, or getting closer.

So, if you have good holding ground, and it's not too deep, consider dousing all sail and dropping the hook. Do it before the squall hits.

This works on Lake Pontchartrain, where I sail and teach sometimes. Bottom's only 15 feet down, easy to get plenty of scope.